Various sources (mostly TV stations, at least in my region) are constantly warning about the danger of cold shock response, if someone goes to water too quickly.

But on the other hand, Bear Grylls is famous for not passing any occasion of jumping naked into ice-cold water. The sudden heat loss by swimming in such cold water (near 0 degree) must be immensely greater that when you go from heat air into c.a 20 degree water in summer. And I've never heard of him having cold shock response.

So, is the cold shock response a real danger for someone used to cold water? Or it's just a problem for people who never take cold showers and swim only in summer? Or it's just an urban myth, popularized by media in cucumber season?

A fall in skin temperature elicits a powerful cardiorespiratory response, termed “cold shock,” comprising an initial gasp, hypertension, and hyperventilation despite a profound hypocapnia. ... The respiratory responses to skin cooling override both conscious and other autonomic respiratory controls and may act as a precursor to drowning.

Now about the getting used to it:

Recent evidence from our laboratory suggests that there is
also a marked and modifiable psychological component to the
breath-hold component of the cold shock response

They had a case-control study with one group getting a psychological training, the others not. The ones with psychological training got basically back to normal breath holding times (one week later), the ones without stayed at less than half of the normal breath holding time.

However, for other reactions in the cold shock, the psychological training didn't help:

A corresponding change was not seen with the heart rate
response before or during immersion

How long does it take to get used?

The initial respiratory responses to immersion in cold water
can habituate. As few as five 3-min immersions in cold water
can reduce these responses by 50% (74), with the response still
being reduced by 25% 14 mo later (75).

They also have a section on cardiac arrhytmia, but for that I recommend reading the paper - this is more complicated it seems: there's a "diving reflex" that plays a role as well, and the arrhytmia seems to be connected to the gasping.

I do believe cold-shock is a real threat, but the reaction is a combination of physical and psychological reactions. As being dropped in near freezing water is a horrendous experience, even for the more hardy of us. The mind goes into full panic, only wanting to get up out of the water, often flailing and thrashing to do so.

The physical effect just pours gasoline on the fire created by our paniced mind, shortness of breath, muscles getting sluggish, cramps etc. just creates more panic. If you have undergone some cold water training, you know that it is very important to keep your cool(no pun intended), and to focus on staying afloat and to not panic. Easier said than done.

Conclusion: If you are used to cold water, I don't believe cold-shock is as much of a danger as if you are untrained. Just as you stay in control of the situation, and try to get up, safely and quickly.

Canadian glacier lake swimmer here - You can train your body to overcome the cold shock response. It's a matter of mind over body, yes your body responds to the sudden shock of diving into cold water, but the trick to overcoming it is to relax, slow your brain down, and focus on controlling your breathing. The best way to do this minimize your movements, moving around in cold water makes the water feel colder, if you can hold still, take slow controlled breaths and just relax your shoulders and arms, then you can overcome the cold shock response. As soon as you gain control over your body, the cold water doesn't feel so bad and you start to feel like you could hang out in it for a while (just don't hang out too long).

Well, when you touch something very cold, it can be like touching something hot. You get the same reaction to jerk away from it quickly. I believe Cold Shock is essentially the same thing, except you're either immersed or covered in the cold water, so your brain goes into a state of panic as it's trying to get away from the water covering you - Obviously not possible to do immediately.

Seems like one of those now-useless features we still have from our ancestors. Like a lot of them, we don't know what they're for.